Found it by trial and error. If anyone´s looking for this, it's directly in the header.php (Simply edit via Dashboard.)
Look for:
// Houston, we have a new header image!
echo get_the_post_thumbnail( $post->ID );
elseif ( get_header_image() ) : ?>
<img src="<?php header_image(); ?>" width="<?php echo HEADER_IMAGE_WIDTH; ?>" height="<?php echo HEADER_IMAGE_HEIGHT; ?>" alt="" />
<?php endif; ?>
Replace:
<img src="<?php header_image(); ?>" width="<?php echo HEADER_IMAGE_WIDTH; ?>" height="<?php echo HEADER_IMAGE_HEIGHT; ?>" alt="" />
With:
<img src="https://ssl.proxy.xx/images.yourdomain.com/bla/bla/header.jpg" width="<?php echo HEADER_IMAGE_WIDTH; ?>" height="<?php echo HEADER_IMAGE_HEIGHT; ?>" alt="" />
If you´re not using a subdomain then just skip 'images.'